Financial applications on fractional Levy Stochastic processes
In this present work, we perform a numerical analysis of the value of the European style options as well as a sensitivity analysis for the option price with respect to some parameters of the model when the underlying price process is driven by a fractional Lévy process. The option price is given by...
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| Format: | Article |
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Multidisciplinary Digital Publishing Institute
2022
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| _version_ | 1796984075304566784 |
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| author | Abdullah Aljethi, Reem Kılıçman, Adem |
| author_facet | Abdullah Aljethi, Reem Kılıçman, Adem |
| author_sort | Abdullah Aljethi, Reem |
| collection | UPM |
| description | In this present work, we perform a numerical analysis of the value of the European style options as well as a sensitivity analysis for the option price with respect to some parameters of the model when the underlying price process is driven by a fractional Lévy process. The option price is given by a deterministic representation by means of a real valued function satisfying some fractional PDE. The numerical scheme of the fractional PDE is obtained by means of a weighted and shifted Grunwald approximation. |
| first_indexed | 2024-03-06T11:15:26Z |
| format | Article |
| id | upm.eprints-101520 |
| institution | Universiti Putra Malaysia |
| last_indexed | 2024-03-06T11:15:26Z |
| publishDate | 2022 |
| publisher | Multidisciplinary Digital Publishing Institute |
| record_format | dspace |
| spelling | upm.eprints-1015202023-06-17T22:46:35Z http://psasir.upm.edu.my/id/eprint/101520/ Financial applications on fractional Levy Stochastic processes Abdullah Aljethi, Reem Kılıçman, Adem In this present work, we perform a numerical analysis of the value of the European style options as well as a sensitivity analysis for the option price with respect to some parameters of the model when the underlying price process is driven by a fractional Lévy process. The option price is given by a deterministic representation by means of a real valued function satisfying some fractional PDE. The numerical scheme of the fractional PDE is obtained by means of a weighted and shifted Grunwald approximation. Multidisciplinary Digital Publishing Institute 2022-05-22 Article PeerReviewed Abdullah Aljethi, Reem and Kılıçman, Adem (2022) Financial applications on fractional Levy Stochastic processes. Fractal and Fractional, 6 (5). art. no. 278. pp. 1-12. ISSN 2504-3110 https://www.mdpi.com/2504-3110/6/5/278 10.3390/fractalfract6050278 |
| spellingShingle | Abdullah Aljethi, Reem Kılıçman, Adem Financial applications on fractional Levy Stochastic processes |
| title | Financial applications on fractional Levy Stochastic processes |
| title_full | Financial applications on fractional Levy Stochastic processes |
| title_fullStr | Financial applications on fractional Levy Stochastic processes |
| title_full_unstemmed | Financial applications on fractional Levy Stochastic processes |
| title_short | Financial applications on fractional Levy Stochastic processes |
| title_sort | financial applications on fractional levy stochastic processes |
| work_keys_str_mv | AT abdullahaljethireem financialapplicationsonfractionallevystochasticprocesses AT kılıcmanadem financialapplicationsonfractionallevystochasticprocesses |